全球经济不确定性对另类资产投资影响研究——基于艺术品和黄金投资视角

Impact of Global Economic Uncertainty on Alternative Investments:From the Perspective of Art and Gold Investments

面对百年未有之大变局,世界经济不确定性明显增加,另类资产逐渐引起全球投资者的关注,成为当今世界资产配置的重要组成部分。作为典型的另类资产,民间有在经济繁荣时期购买艺术品、在经济不确定时期投资黄金的经验总结。这一传统民间智慧在当今开放市场时代是否可以古为今用,值得深入探讨。本文采用最近20年全球中国艺术品拍卖市场微观数据和上海黄金交易所黄金现货数据,将艺术品和黄金放在统一框架下进行分析,探究国际和国内宏观经济对两类另类资产投资的影响差异,以及在不同经济周期情况下两类资产的资产配置效应。研究发现:艺术品市场受国内宏观环境影响较大,艺术精品市场与股票市场的替代效应更强;黄金作为全球认可的准货币,全球黄金市场受国际市场(汇率、全球经济政策不确定性等)影响较大;艺术品和黄金在当今全球化市场下呈现出新的投资特征,艺术品抗内部通胀、黄金抗外部风险,艺术品和黄金市场组合具有“双重避险效应”。在全球经济政策低(高)不确定性时期,两类资产相关性负相关(接近于0),在不同经济周期时期两类资产都能够降低资产组合的风险来提高资产配置的投资表现。

In an era with unprecedented changes unseen in a century and increasing uncertainties in the global economy,alternative assets have gradually attracted the attention of global investors and become an important component of the asset management industry.As for alternative investments,the private sector has accumulated the experience of purchasing art in the time of economic prosperity and investing in gold in the time with economic uncertainties.It is worth exploring whether this traditional wisdom can be applied in the current open market.This study used the micro data from the global auction market of Chinese art and the spot gold data from the Shanghai Gold Exchange in the last 20 years to analyze art and gold investments within a unified framework.The impacts of international and domestic macroeconomics on the investment of two types of alternative assets were compared,and the asset allocation effects of the two types of assets in different economic cycles were studied.The results showed that the art market was greatly influenced by the domestic macroenvironment,and the substitution effect between the influential art market and the stock market was strong.Gold is a globally recognized quasi-currency,and the global gold market was greatly influenced by international market factors such as exchange rates and global economic policy uncertainties.In the context of market globalization,art and gold investments present new characteristics,with art resisting internal inflation and gold resisting external risks.The combination of art and gold markets has a dual hedging effect.During the periods with low(high)uncertainty in global economic policies,there is a negative correlation(close to zero)between the two types of assets.Both types of assets can reduce portfolio risk and improve investment performance in asset allocation during different economic cycles.